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  • GVAR Eco Mod 16-8-2015

    Rights statement: This is the author’s version of a work that was accepted for publication in Economic Modelling. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economic Modelling, 51, 2015 DOI: 10.1016/j.econmod.2015.08.033

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System estimation of GVAR with two dominants and network theory: evidence for BRICs

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System estimation of GVAR with two dominants and network theory : evidence for BRICs. / Konstantakis, Konstantinos N.; Michaelides, Panayotis G.; Tsionas, Efthymios; Minou, Chrysanthi.

In: Economic Modelling, Vol. 51, 12.2015, p. 604-616.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Harvard

Konstantakis, KN, Michaelides, PG, Tsionas, E & Minou, C 2015, 'System estimation of GVAR with two dominants and network theory: evidence for BRICs', Economic Modelling, vol. 51, pp. 604-616. https://doi.org/10.1016/j.econmod.2015.08.033

APA

Konstantakis, K. N., Michaelides, P. G., Tsionas, E., & Minou, C. (2015). System estimation of GVAR with two dominants and network theory: evidence for BRICs. Economic Modelling, 51, 604-616. https://doi.org/10.1016/j.econmod.2015.08.033

Vancouver

Author

Konstantakis, Konstantinos N. ; Michaelides, Panayotis G. ; Tsionas, Efthymios ; Minou, Chrysanthi. / System estimation of GVAR with two dominants and network theory : evidence for BRICs. In: Economic Modelling. 2015 ; Vol. 51. pp. 604-616.

Bibtex

@article{0f7a19d250ae4c8aa42e6f0db9c71d7c,
title = "System estimation of GVAR with two dominants and network theory: evidence for BRICs",
abstract = "The dynamics of traditional economic structures changed dramatically in the US and globally after 2006. In this context, the need for modeling complex macroeconomic interactions, has led us to develop an upgraded compact global (macro) econometric GVAR model, which is capable of incorporating both the complex interdependencies that exist between the various economic entities and the fact that in the global economy more than one of these entities could have a predominant role, without neglecting the channels of trade and finance. Additionally, based on the trade weight matrix that lies in the core of the GVAR framework, we provide both an analytical procedure and an ex-post econometric criterion for the selection of dominant entities. We demonstrate the dynamics of our model by focusing on the impact of a potential slowdown in the BRICs on the US and EU17 economies. According to our findings, the dominant economies are those of the USA and EU17, while the results suggest that EU17 is more vulnerable than the USA to shocks from the BRICs, implying that a potential slowdown in the BRICs will primarily affect the EU17 economy. Clearly, the proposed model can be easily used for analyzing a number of transmission mechanisms, contagion effects and network interdependencies in various settings.",
keywords = "GVAR, Dominant, System estimation, BRICs, Crisis, Trade, Finance",
author = "Konstantakis, {Konstantinos N.} and Michaelides, {Panayotis G.} and Efthymios Tsionas and Chrysanthi Minou",
note = "This is the author{\textquoteright}s version of a work that was accepted for publication in Economic Modelling. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economic Modelling, 51, 2015 DOI: 10.1016/j.econmod.2015.08.033",
year = "2015",
month = dec,
doi = "10.1016/j.econmod.2015.08.033",
language = "English",
volume = "51",
pages = "604--616",
journal = "Economic Modelling",
issn = "0264-9993",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - System estimation of GVAR with two dominants and network theory

T2 - evidence for BRICs

AU - Konstantakis, Konstantinos N.

AU - Michaelides, Panayotis G.

AU - Tsionas, Efthymios

AU - Minou, Chrysanthi

N1 - This is the author’s version of a work that was accepted for publication in Economic Modelling. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economic Modelling, 51, 2015 DOI: 10.1016/j.econmod.2015.08.033

PY - 2015/12

Y1 - 2015/12

N2 - The dynamics of traditional economic structures changed dramatically in the US and globally after 2006. In this context, the need for modeling complex macroeconomic interactions, has led us to develop an upgraded compact global (macro) econometric GVAR model, which is capable of incorporating both the complex interdependencies that exist between the various economic entities and the fact that in the global economy more than one of these entities could have a predominant role, without neglecting the channels of trade and finance. Additionally, based on the trade weight matrix that lies in the core of the GVAR framework, we provide both an analytical procedure and an ex-post econometric criterion for the selection of dominant entities. We demonstrate the dynamics of our model by focusing on the impact of a potential slowdown in the BRICs on the US and EU17 economies. According to our findings, the dominant economies are those of the USA and EU17, while the results suggest that EU17 is more vulnerable than the USA to shocks from the BRICs, implying that a potential slowdown in the BRICs will primarily affect the EU17 economy. Clearly, the proposed model can be easily used for analyzing a number of transmission mechanisms, contagion effects and network interdependencies in various settings.

AB - The dynamics of traditional economic structures changed dramatically in the US and globally after 2006. In this context, the need for modeling complex macroeconomic interactions, has led us to develop an upgraded compact global (macro) econometric GVAR model, which is capable of incorporating both the complex interdependencies that exist between the various economic entities and the fact that in the global economy more than one of these entities could have a predominant role, without neglecting the channels of trade and finance. Additionally, based on the trade weight matrix that lies in the core of the GVAR framework, we provide both an analytical procedure and an ex-post econometric criterion for the selection of dominant entities. We demonstrate the dynamics of our model by focusing on the impact of a potential slowdown in the BRICs on the US and EU17 economies. According to our findings, the dominant economies are those of the USA and EU17, while the results suggest that EU17 is more vulnerable than the USA to shocks from the BRICs, implying that a potential slowdown in the BRICs will primarily affect the EU17 economy. Clearly, the proposed model can be easily used for analyzing a number of transmission mechanisms, contagion effects and network interdependencies in various settings.

KW - GVAR

KW - Dominant

KW - System estimation

KW - BRICs

KW - Crisis

KW - Trade

KW - Finance

U2 - 10.1016/j.econmod.2015.08.033

DO - 10.1016/j.econmod.2015.08.033

M3 - Journal article

VL - 51

SP - 604

EP - 616

JO - Economic Modelling

JF - Economic Modelling

SN - 0264-9993

ER -